Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space.

Sergei Levendorskii

Published in: SIAM J. Financial Math. (2018)

Keyphrases

dual space
probabilistic model
complex systems
data sets
data mining
machine learning
statistical model
statistical models
bayesian networks
graphical models
parameter estimation
computational models
random fields
historical data
option pricing